6 ECTS credits
156 h study time

Offer 1 with catalog number 4020311ENR for all students in the 2nd semester at a (E) Master - advanced level.

Semester
2nd semester
Enrollment based on exam contract
Impossible
Grading method
Grading (scale from 0 to 20)
Can retake in second session
Yes
Enrollment Requirements
Studenten die dit opleidingsonderdeel opnemen, moeten geslaagd zijn voor 'Statistiek II' en 'Wiskunde II voor Handelsingenieurs' OF studenten zijn geslaagd voor 'Advanced Mathematics for Business & Technology & Statistics for Business and Economics II'.
Taught in
Dutch
Faculty
Faculty of Social Sciences & SolvayBusinessSchool
Department
Business
Educational team
Steven Vanduffel (course titular)
Activities and contact hours

28 contact hours Lecture
14 contact hours Seminar, Exercises or Practicals
114 contact hours Independent or External Form of Study
Course Content

DERIVATIVES

  • context
  • valuation principles
  • calls/puts
  • replicating portfolio and risk-neutral valuation techniques
  • the Black-Scholes formula

MONTE-CARLO SIMULATION

  • context, techniques and applications

PORTFOLIO SELECTION 

  • Mean-variance optimization
  • two fund theorem
  • sharpe ratio
  • capital market line
  • CAPM
Additional info

Slides and class notes
Scientific literature as background

Learning Outcomes

General competencies

  • Recognizing financial derivatives, mastering their valuation principles and being able to apply these
  • Determining optimal asset allocation schemes (Markowitz)
  • Solving problems in finance using Monte-Carlo simulation techniques.

Grading

The final grade is composed based on the following categories:
Written Exam determines 100% of the final mark.

Within the Written Exam category, the following assignments need to be completed:

  • Written Exam with a relative weight of 1 which comprises 100% of the final mark.

Additional info regarding evaluation

Not applicable.

Allowed unsatisfactory mark
The supplementary Teaching and Examination Regulations of your faculty stipulate whether an allowed unsatisfactory mark for this programme unit is permitted.

Academic context

This offer is part of the following study plans:
Master of Business Engineering: Standaard traject (only offered in Dutch)